New measures and procedures to manage financial risk with applications to the planning of gas commercialization in Asia

This paper presents some new concepts and procedures for financial risk management. To complement the use of value at risk a new concept, upside potential or opportunity value as means to weigh opportunity loss versus risk reduction as well as an area ratio are introduced and discussed. Upper and lower bounds for risk curves corresponding to the optimal stochastic solution are developed, the application of the sampling average algorithm, one scenario at a time, is analyzed, and the relation between two-stage stochastic models that manage r p i t m ©